February The FX Report

  • 21 Mar 2017
  • By CME Group
  • Topics: FX

Keep up with what is happening in the FX markets with this monthly report highlighting monthly data, new products and more.

The Numbers You Need

February 2017 FX futures ADV of 699,831 ($74 billion notional)

FX futures ADV down 7% YTD YoY

FX futures open interest is up 8% versus January 2017

February 2017 FX options ADV of 60,524 ($6.6 billion notional)

FX options ADV fell 12% MoM, with open interest up 3% MoM, up 6% YoY

Ones to Watch

Futures: ZAR/USD

ZAR futures reached new record ADV of 2,081 and open interest of 27,649 in February 2017

Futures: INR/USD

New single day volume record in standard size Indian Rupee futures of 2,598 contracts, set on February 21

SIR futures YTD ADV of 1,336 is up 124%

New Products, New Opportunities

It's What You Asked For

In the News

Changes to Expiration Behavior and Exercise

Amendments to the Exercise and Assignment Rule for CME FX options are effective Friday, March 24.

All FX options us an auto-exercise process with no contrary instructions. The futures settlement determines if an option is in-the-money, at-the-money, or out-of-the-money. Once this occurs, in-the-money options are exercised. If the settlement calculation falls exactly on a strike, at-the-money call options will be exercised and at-the-money puts will be abandoned.

Read the rule.

Conversion to European-Style options

Conversion from American to European-style for 17 FX options is effective Monday, March 27.

On March 9, trading was suspended in the 17 FX American-style options being converted to European-style. There was no open interest in any of the contract months.

On Monday, March 27 these 17 FX options will be available for trading as European-style. No other changes are being made to the contracts. Expiration remains at 2 p.m. Central Time.

Learn more

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